Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0114
Annualized Std Dev 0.2017
Annualized Sharpe (Rf=0%) 0.0567

Row

Daily Return Statistics

Close
Observations 4981.0000
NAs 1.0000
Minimum -0.1067
Quartile 1 -0.0052
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0058
Maximum 0.0856
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0127
Skewness -0.4049
Kurtosis 7.2915

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0088
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5833
Historical VaR (95%) -0.0197
Historical ES (95%) -0.0313
Modified VaR (95%) -0.0203
Modified ES (95%) -0.0389
From Trough To Depth Length To Trough Recovery
2000-10-05 2009-03-09 2018-01-02 -0.5833 4193 2035 2158
2018-01-30 2020-03-23 2020-11-16 -0.3518 683 517 166
2021-01-15 2021-01-29 2021-02-08 -0.0523 16 10 6
2021-02-25 2021-02-26 2021-03-10 -0.0293 10 2 8
2020-12-18 2020-12-22 2021-01-06 -0.0283 12 3 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA NA NA NA 2.6 1.8 -0.4 4
2001 0.4 -0.5 0 0.4 0.7 0.2 0.1 0.6 -0.3 0.3 0.5 -0.3 2.1
2002 2 1.8 -1.2 0.6 -0.2 -1.2 -1.4 -1.8 -0.4 -0.4 2.9 0.1 0.5
2003 0.7 1 1 -0.4 1.1 0 -1.1 -0.6 2.3 0.3 1.3 0.4 6.1
2004 -0.7 0.7 0.6 -0.4 -0.6 -0.7 -0.3 0.2 1.4 -0.2 1 -0.1 0.8
2005 0.2 0.1 -0.6 0.9 -0.7 -0.3 0.1 1 0 -0.5 1.1 -0.1 1.2
2006 0.3 0.5 -0.3 -0.3 0.9 0.5 -0.6 0.4 -0.1 -0.1 -0.5 -0.4 0.4
2007 0.5 -3 -0.3 0.1 0.1 0.1 0.4 1.1 0.9 -2.5 0.6 -0.8 -2.8
2008 1.7 -2.6 3.4 1.3 0.9 -0.4 -1.5 -1.7 -0.4 1.1 -4.8 1.5 -1.6
2009 -2.2 -1 1.2 1 2.9 0.9 1 -1.8 -2.4 -2.5 1.7 -0.7 -2.1
2010 1.4 0.3 0.6 -1.1 -0.7 0.1 0.2 2.9 0.8 -0.5 2.1 0.1 6.3
2011 2.1 -0.9 0.6 0.6 -1.3 1.4 -1.1 -0.6 -2.2 -2.8 -0.6 0.1 -4.7
2012 1.7 0.7 0.6 0.5 -2.3 3.1 -0.1 0.9 0.6 1.4 0 1.3 8.8
2013 0.9 -0.4 -0.7 -1 -1.2 1 1.5 -0.8 0.8 -0.3 0.3 0.4 0.5
2014 -1.2 0.3 1.1 0.6 -0.2 0.7 -0.8 0.2 -1.6 1.4 -1.1 -0.8 -1.5
2015 -0.1 0 -0.6 0.3 0.6 0.1 0.3 -2.8 0 0 0.8 -1.2 -2.7
2016 1.2 1.8 -0.2 -0.7 -0.2 1.4 1.2 0.3 0.4 -1 -0.7 0.3 3.9
2017 0.3 1.3 -0.4 -0.1 0.4 0.3 0.9 0.5 0.8 0.6 -0.5 0.2 4.5
2018 0.6 -1.5 1.8 -0.5 0.7 1.1 0.5 -0.4 0.4 0.5 -0.2 0.5 3.5
2019 -0.1 0.3 1.5 -0.6 -1 0.7 -0.7 0.4 -1.1 1.1 -0.6 0.2 -0.1
2020 -2 -1 -4.5 -2.9 1 0.2 -1.4 0.1 0 -0.7 1.8 -0.2 -9.4
2021 1 1.7 0 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-09-29  84.8 SPY    144. -0.0171   -0.0114  -0.0447  -0.0114   0.118        NA       NA <NA>     NA    NA       NA
2 2000-10-02  85.1 SPY    144.  0.0015   -0.0022  -0.0558  -0.0233   0.100        NA       NA <NA>     NA    NA       NA
3 2000-10-03  85.3 SPY    142. -0.00930   0.0007  -0.0648  -0.0147   0.0909       NA       NA <NA>     NA    NA       NA
4 2000-10-04  85.5 SPY    144.  0.0083    0.0037  -0.0502  -0.0142   0.0834       NA       NA <NA>     NA    NA       NA
5 2000-10-05  85.1 SPY    144.  0.0035   -0.0133  -0.0373  -0.0264   0.0934       NA       NA <NA>     NA    NA       NA
6 2000-10-06  84.2 SPY    141. -0.0217   -0.0178  -0.0648  -0.0459   0.0537       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart